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OI Points to Mixed Positioning Swings Across SOFR Futures Strip On Wednesday

STIR

The mix of Wednesday's weakness across most of the SOFR futures strip and preliminary OI data points to the following positioning swings:

  • Whites: Apparent net long cover (SFRZ3) and modest net short setting (SFRU4). It is hard to be conclusive when it comes to SFRH4 & M4 given their unchanged price status come settlement.
  • Reds & Greens: Apparent net short setting in all contracts.
  • Blues: A mix of apparent net short setting (SFRZ6 & U7) and long cover (SFRH7 & M7)
  • A reminder that Fedspeak helped counter worries re: NYC Bancorp when it came to Wednesday's price action
07-Feb-2406-Feb-24Daily OI ChangeDaily OI Change In Packs
SFRZ31,182,4541,209,265-26,811Whites-1,190
SFRH41,175,0331,171,628+3,405Reds+30,063
SFRM41,045,3511,023,388+21,963Greens+36,746
SFRU4873,208872,955+253Blues+848
SFRZ41,055,5301,046,620+8,910
SFRH5602,226593,031+9,195
SFRM5670,186662,724+7,462
SFRU5599,682595,186+4,496
SFRZ5696,366683,890+12,476
SFRH6441,598430,180+11,418
SFRM6463,420451,749+11,671
SFRU6304,889303,708+1,181
SFRZ6274,609270,213+4,396
SFRH7153,619154,611-992
SFRM7150,332153,508-3,176
SFRU7148,139147,519+620
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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